SMCF[Strategy] vs INav[Benchmark]

28 Feb, 2025 - 21 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	92.0%	100.0%
Cumulative Return	0.34%	0.86%
CAGR﹪	0.23%	0.58%
Sharpe	-0.1	-0.85
Prob. Sharpe Ratio	12.74%	13.17%
Smart Sharpe	-0.06	-0.49
Sortino	-0.15	-0.89
Smart Sortino	-0.09	-0.51
Sortino/√2	-0.11	-0.63
Smart Sortino/√2	-0.06	-0.36
Omega	0.97	0.97
Max Drawdown	-16.5%	-5.61%
Longest DD Days	242	324
Volatility (ann.)	27.64%	6.92%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.01	0.1
Skew	2.01	-7.42
Kurtosis	70.15	82.61
Expected Daily	0.0%	0.0%
Expected Monthly	0.02%	0.05%
Expected Yearly	0.17%	0.43%
Kelly Criterion	13.67%	-33.89%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.85%	-0.71%
Expected Shortfall (cVaR)	-2.85%	-0.71%
Max Consecutive Wins	7	15
Max Consecutive Losses	4	2
Gain/Pain Ratio	0.05	0.04
Gain/Pain (1M)	0.75	0.2
Payoff Ratio	0.99	0.24
Profit Factor	1.05	1.04
Common Sense Ratio	1.11	0.79
CPC Index	0.59	0.18
Tail Ratio	1.06	0.76
Outlier Win Ratio	3.58	16.08
Outlier Loss Ratio	3.13	7.44
MTD	-0.41%	-0.33%
3M	1.23%	0.56%
6M	0.5%	0.27%
YTD	1.2%	-0.36%
1Y	-0.37%	-0.36%
3Y (ann.)	0.23%	0.58%
5Y (ann.)	0.23%	0.58%
10Y (ann.)	0.23%	0.58%
All-time (ann.)	0.23%	0.58%
Best Day	19.88%	0.72%
Worst Day	-16.07%	-5.61%
Best Month	1.73%	2.08%
Worst Month	-4.12%	-3.95%
Best Year	1.2%	1.22%
Worst Year	-0.85%	-0.36%
Avg. Drawdown	-5.25%	-1.66%
Avg. Drawdown Days	58	83
Recovery Factor	0.02	0.15
Ulcer Index	0.05	0.02
Serenity Index	-0.26	-0.4
Avg. Up Month	0.96%	0.83%
Avg. Down Month	-1.28%	-1.02%
Win Days	56.96%	74.13%
Win Month	61.11%	55.56%
Win Quarter	71.43%	42.86%
Win Year	50.0%	50.0%
Beta	0.08	-
Alpha	0.04	-
Correlation	1.92%	-
Treynor Ratio	-86.93%	-